2. The hypothetical sequential-pay structure with floater, inverse floater, and accrual bond classes is specified in Exhibit 12-6 on page 258. Tranche Par Amount Coupon rate A $194,500,000 7.5% B $36,000,000 7.5% FL $72,375,000 LIBOR + 0.5% IFL $24,125,000 28.5% - 3*LIBOR Z(accrual) $73,000,000 7.5% The collateral for FL and IFL is the C tranche specified in Exhibit 12-4 on page 255. In a specific month, the balance for tranche C is USD 5,747,754. We know that the payment to the principal is USD 3,057,282, and the interest payment is USD35,923. The annualized 1-month LIBOR rate for that month is 4%. Compute the principal and coupon payments to FL and IFL in that month

(b) With above information, will you be able to calculate the average life of the mortgage? Can you calculate the duration? (c) Suppose principal payments account for 50% of the cash flow in each month, what is the average life of the mortgage? 2. The hypothetical sequential-pay structure with floater, inverse floater, and accrual bond classes is specified in Exhibit 12-6 on page 258. Tranche Par Amount $194.500,000 $36.000,000 $72,375,000 $24,125.000 $73.000,000 Coupon rate 7.5% 7.5% A B FL 7.5% IFL 7.5% Zlaccrual) 7.5% The collateral for FL and IFL is the C tranche specified in Exhibit 12-4 on page 255 In a specific month, the balance for tranche C is USD 5,747,754. We know that the payment to the principal is USD 3.057.282, and the interest payment is USD35,923. The annualized 1-month LIBOR rate for that month is 4%. Compute the principal and coupon payments to FL and IFL in that month. 3. A CMO is very similar to the one illustrated on page 252-253 (Exhibit 12-2), except that in month 100, the remaining balance of tranche B is USD 442,350. What are the principal and interest payments to Tranche C in month 100? (b) With above information, will you be able to calculate the average life of the mortgage? Can you calculate the duration? (c) Suppose principal payments account for 50% of the cash flow in each month, what is the average life of the mortgage? 2. The hypothetical sequential-pay structure with floater, inverse floater, and accrual bond classes is specified in Exhibit 12-6 on page 258. Tranche Par Amount $194.500,000 $36.000,000 $72,375,000 $24,125.000 $73.000,000 Coupon rate 7.5% 7.5% A B FL 7.5% IFL 7.5% Zlaccrual) 7.5% The collateral for FL and IFL is the C tranche specified in Exhibit 12-4 on page 255 In a specific month, the balance for tranche C is USD 5,747,754. We know that the payment to the principal is USD 3.057.282, and the interest payment is USD35,923. The annualized 1-month LIBOR rate for that month is 4%. Compute the principal and coupon payments to FL and IFL in that month. 3. A CMO is very similar to the one illustrated on page 252-253 (Exhibit 12-2), except that in month 100, the remaining balance of tranche B is USD 442,350. What are the principal and interest payments to Tranche C in month 100